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Is the new keynesian is curve forward looking?
(2018-04-27)
This paper analyzes the solutions of the canonical and hybrid New Keynesian IS curve difference equation. It shows that the usual forward solution is ruled out because it is at odds with the underlying economic theory. ...
Is the new keynesian is curve forward looking?
(Escola de Pós-Graduação em Economia da FGV, 2018-04)
This paper analyzes the solutions of the canonical and hybrid New Keynesian IS curve difference equation. It shows that the usual forward solution is ruled out because it is at odds with the underlying economic theory. ...
Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
(Scientific Research Publishing, 2017-11)
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve ...
Risco cambial e estrutura a termo da taxa de juros: um estudo com vetores autorregressivos para o Brasil 2002-2014
(Universidade Federal de Minas GeraisUFMG, 2015-02-19)
The main objective of the present study was to evaluate the currency risk in the Brazilian term structure of interest rate structure by VAR models, between 2002 and 2014, aiming to identify observable, macroeconomic and ...
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
(2017)
This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly ...
Condiciones de competencia en el mercado de gas natural de la República Argentina: 1990-2008
(Pontificia Universidad Católica del Perú. Fondo EditorialPE, 2018)
Forecasting the Brazilian yield curve using forward-looking variables
(Elsevier Science Bv, 2017-03)
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve in order to predict the Brazilian term structure of interest ...
A influência da maturidade da dívida pública na ETTJ
(2020-07-13)
Apesar de o principal instrumento de política monetária do Banco Central ser a taxa de curto prazo, são as taxas longas que permitem estimar o nível futuro da demanda agregada. Marçal e Marinho (2012) testam as proposições ...
Análise da curva de cupom cambial brasileira: uma aplicação da análise de componentes principais com enfâse em sua utilização para imunização de carteiras
(2006-11-08)
Na presente dissertação foi apresentada, pela primeira vez para o mercado brasileiro, uma aplicação da análise de componentes principais para a identificação dos fatores que influenciam o comportamento da estrutura temporal ...
Constrained smoothing B-splines for the term structure of interest rates
(Elsevier Science BvAmsterdamHolanda, 2010)